A NOTE ON THE STATIONARITY AND THE EXISTENCE OF MOMENTS OF THE GARCH MODEL

By Min Chen, Zhi An. 2003

60 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/94d7884b1b4ee331cdae1cc670cce58b0f734695

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Citations in the corpus

A Double AR(p) Model: Structure and Estimation (2007, unknown): “This method has been commonly used to find sufficient conditions for stationarity of nonlinear time series models, see for example Tong (1990), Chen and An (1998, 1999), Carrasco and Chen (2002) and Ling and McAleer (2002).”
Asymptotic theory for stationary processes (2011, background): “1 in Chow and Teicher (1988)) concerns independent random variables. Hoeffding and Robbins (1948) proved a central limit theorem under m-dependence.”
GARCH Models (2010, unknown): “The necessary and sufficient condition for the existence of even-order moments was established by Ling and McAleer (2002a), the sufficient part having been obtained by Chen and An (1998).”
Stationarity and the existence of moments of a family of GARCH processes (2002, methodology): “However, for some special cases, such as the GARCH (p,q) model in Bollerslev (1986), the sufficient condition for the existence of moments is established in Chen and An (1998) and Ling (1999) (see Ling and McAleer (1999) for the proof of necessity).”
Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes (2004, background): “Chen and An (1998) showed that there exists a non-anticipative and strictly stationary solution of (2.1) with finite fourth-order moment if and only if rfE(A0t A0t)g .”
Local polynomial estimation with a FARIMA-GARCH error process (2001, background): “Necessary and suf®cient conditions which guarantee this may be found in Ling (1999) and Ling and McAleer (2000) (see also Ling and Li 1997; Chen and An 1998; He and TeraÈsvirta 1999a).”